Factor/Style Investing
Time-Varying Leverage Demand and Predictability of Betting-Against-Beta
June 13, 2018
We test the predictability of betting-against-beta (BAB) strategies and find that they perform better when past market returns have been high.
Factor/Style Investing
Fact, Fiction and the Size Effect
May 14, 2018
Despite its long and illustrious history, much confusion about the size effect remains. We examine common claims about the size effect and seek to clarify some of the misunderstanding surrounding it.
Tax Aware
The Tax Benefits of Separating Alpha from Beta
May 14, 2018
We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.
Tax Aware
Multi-Period After-Tax Reporting: A Practical Solution
March 29, 2018
We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.
Fixed Income
(Il)liquidity Premium in Credit Markets: A Myth?
March 8, 2018
Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.
Factor/Style Investing
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.
Factor/Style Investing
Deep Value
December 4, 2017
We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.
Portfolio Construction
Portfolio Construction Matters: A Simple Example Using Value and Momentum Themes
November 1, 2017
We compare two portfolio construction approaches, “mix” and “integrate,” and examine some examples to demonstrate how their differences may have important implications for practice.
Derivatives
Which Index Options Should You Sell?
July 7, 2017
We study return and risk properties of equity-hedged options across the S&P 500 option surface. We evaluate returns by estimating alpha to the S&P 500 and quantify risk using return volatility, losses under stress tests, and conditional value at risk.